Research

Current Research Interests

• •  Insurance Mathematics

  •  Financial Mathematics with Applications in Energy and Commodity Markets

Preprints and Submitted Articles

• "Commodity forward curves with stochastic time change" (2021), with S. Ladokhin and S. Borokvoka

• "Pricing of electricity swaps with stochastic averaging" (2023), with A. Kemper

Publications and Accepted Articles

• • "The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets" (2022), with A. Kemper, A. Kh. Balci. Energy Economics 113:106221 

  • "A Decomposition of General Premium Principles in Risk and Deviation" (2021), with M. Nendel and F. Riedel. Insurance: Mathematics and Economics (100), pp. 193-209 

  • "Mortality Options: An Insurer’s Point of View" (2021), with H. Schmidli. Insurance: Mathematics and Economics (96), pp. 98-115.

  • "Capturing the power options smile by an additive two-factor model for futures prices" (2021), with T. Vargiolu and M.Piccirilli. Energy Economics 95:105006.

  • "Optimal switch from a fossil-fueled to an electric vehicle" (2021), with P. Falbo, G. Ferrari and G. Rizzini. Decisions in Economics and Finance 44 

  • "The Effect of Mean-reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach" (2021), with S. Schwerin. Risks 9(5):100 

  • "Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model" (2021), with J. Eisenberg and L. Fabrykowski. Risks, 9(4):73.

  • "On the seasonality in the implied volatility surface of energy options" (2019), with V. Fanelli. Quantitative Finance 19(8), pp. 1321-1337.

  • "Electricity price modeling with stochastic time change" (2017), with S. Borovkova. Energy Economics 63, pp. 51-65.

  • "Pricing options on forwards in energy markets: the role of mean reversions speed" (2016). International Journal of Theoretical and  Applied Finance 19(8), 1650053.

  • "Pricing of spread options on a bivariate jump market and stability to model risk" (2015), with F.E. Benth, G. Di Nunno, A. Khedher.  Applied Mathematical Finance, 22(1) pp.28-62.

  • "Pricing and hedging options in energy markets using Black-76"  (2014), with F.E. Benth. Journal of Energy Markets.  7(2) pp.35-69  .

  • "Pricing futures and options in electricity markets" (2014), with F.E. Benth. In Sofia Ramos & Helena Veiga (ed.),  The Interrelationship Between Financial and Energy Markets.  Springer Publishing Company. Chapter 3 pp.233-260.

  • "Stability of Merton's Portfolio Optimisation Problem for Lévy Models" (2013), with F.E. Benth.  Stochastics.  85(5) pp.833-858.

Work in Progress

• • "A season cycle model for electricity spot prices", with V. Fanelli